This article measures the return spillovers between the Chinese and American stock markets and the international commodity market and explores the dominant factors of such cross-market spillovers based on both actual demand and speculative behavior. By adopting a time-varying analysis framework covering many economic variables, we find that there is an increasing trend toward intermarket linkage. (i) When the economic system faces external shocks, the interaction between commodity and financial markets increases, indicating that the adverse external environment generated excessive speculation. (ii) The effect of speculation on the return spillover of the transnational market is far greater than that of actual demand during the same period, but speculation tends to have a short-term effect, while actual demand tends to have a long-term effect. (iii) The interaction between a representative emerging economy and international commodity markets is more dominated by speculation than is the case for advanced economies.

本文测度了中美股市与国际大宗商品市场之间的回报溢出效应，并从实际需求和投机行为两方面探讨了这种跨市场溢出效应的主导因素。通过采用涵盖许多经济变量的时变分析框架，我们发现市场间联系有增加的趋势。(i) 当经济体系面临外部冲击时，商品市场与金融市场的相互作用增强，表明不利的外部环境产生了过度投机。(ii) 投机对跨国市场收益溢出的影响远大于同期实际需求，但投机往往具有短期效应，而实际需求往往具有长期效应.